The file Market.rda contains the list Market.
The first element of the list Market is an xts object corresponding to the value of the SP500 index from “2000-01-03” until “2013-09-10”.
The second element vix corresponds to the value of the VIX index at the same dates.
The third element rf corresponds to the term structure on “2013-09-10” for 14 maturities varying from 1 day to 30 years.
The fourth (calls) and the fifth (puts) contains the strikes (K), maturities (tau) and implied volatilities (IV) for calls and puts options respectively.
We plot the volatility surface in Figure .